Sadness is a common symptom in the general population. We tested the hypothesis that sadness is an intermediate state on a continuum from well-being to major depressive disorder (MDD). Using data from The National Epidemiologic Study of Alcohol and Related Conditions III (NESARC-III), a large and representative US population sample, we assessed the prevalence of sadness, its sociodemographic and clinical correlates, using three non-overlapping groups: (i) non-depressed sad participants, (ii) non-sad non-depressed participants and (iii) depressed participants. We estimated sensitivity and specificity of sadness. Sadness was frequent in the general population 34.3%), and present in almost all participants with MDD (99.6%). Sad (N=4593) and MDD participants (N=4593) and 7889 respectively) shared common sociodemographic characteristics. Compared to controls, sad and MDD participants presented more psychiatric disorders, including anxiety, substance use, psychotic, eating and personality disorders. Sadness was an intermediate state, sad individuals reporting more psychiatric disorders than controls, but less than participants with MDD. Sadness demonstrated a very high sensitivity (99.6%), with a good specificity (83.8%) for MDD. The NESARC assessed sadness over lifetime, which may involve memorization bias. Our study confirms the existence of a depressive continuum. Sadness is frequent in general population, and shares correlates with MDD. We have also shown a continuum where sadness is an intermediate state between well-being and psychiatric disorders. With high sensitivity and specificity, sadness appears as a clear MDD prodrome and at-risk state, and may be a symptom of a transdiagnostic distress process.